RiskVal, the premier provider of pre-trade, trading and risk management solutions for fixed income and credit derivatives, announced today the launch of RiskVal CDS conversion analytics. For a limited time, the RiskVal Portfolio Valuation Solution team will provide pro bono professional services to help convert legacy CDS portfolios to the new standards.
“The ‘CDS Big Bang’ is expected to be implemented on April 8, 2009. RiskVal, as a leading credit derivative service provider, is proud to offer clients the chance to take advantage of our ‘Re-Coupon’ service,” stated Jordan Hu, ceo and founder of RiskVal. “In these interesting times for credit derivative trading, we are here to help move the industry forward to CDS standardization.”
Traders, portfolio managers, and risk managers wishing to leverage this service should email conversion@riskval.com for details. Portfolios sent in for analysis will have each position returned re-couponed into 100 and 500bps fixed coupon standard CDS contracts, maintaining risk profiles, payment schedule, and present value. This analysis offers clients a first look at how their portfolios may be exposed to the benefits of greater trade compression as part of the move to standardized CDS premium payments.
RiskVal’s products and service offerings include RVCredit, the most advanced and comprehensive valuation and risk management system available for proactive risk management of complex credit derivative trading. Other RiskVal products include RVFI, the premier fixed income trading and risk management platform, RiskVal Credit RT, the real time credit monitor, and professional services and consulting operations including EOD P/L production for first tier banks.
RiskVal’s Portfolio Valuation team will assume each position’s notional is $1MM. The newly converted portfolios will match notional with the original CDS positions. Optionally, clients that provide notional will be able to view notional aggregated maturity buckets. The weighted average coupon will result in the same cash flow schedule, with a coupon effective date as of the last IMM maturity date. Risk profiles of the old and new positions will be identical. Coupon cash accruals in the old positions may need to be settled with counterparties independently.
